arXiv subjects

Kira Henshaw

Publications and source records attributed to Kira Henshaw.

3 recordsLinked to original sources

arXiv2026

On the Impact of Insurance on Households Susceptible to Random Proportional Losses: An Analysis of Poverty Trapping

The trapping probability is studied for households' capital assuming that losses are proportional to the accumulated capital. We consider households without insurance and those purchasing proportional insurance. Parameter conditions under which poverty trapping is not certain in both cases are derived. For the uninsured model, a new closed-form expression for the trapping probability is obtained when the remaining proportion of capital after a loss has a beta distribution, showing that the trapping probability decays algebraically as the initial capital increases. When insurance is purchased and the remaining proportion is uniformly distributed, the trapping probability is computed by solving a non-local integro-differential equation. Our results show that insurance can prevent otherwise certain trapping in some cases, although it may increase trapping risk for households with initial capital barely above the poverty line, while reducing trapping risk for households with higher initial capital.

q-fin.RM↗

arXiv2024

On the valuation of life insurance policies for dependent coupled lives

In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries if both members pass away. Our objective is to price this innovative insurance policy and analyse its sensitivity to key model parameters, particularly those related to the joint mortality framework. We employ the $QP$-rule (described in Section \ref{secgenset}), which combines the real-world probability measure $P$ for mortality risk with risk-neutral valuation under $Q$ for financial market risks. The model enables explicit pricing expressions, computed using efficient numerical methods. Our results highlight the interdependent risks faced by couples, such as broken-heart syndrome, providing valuable insights for insurers and policyholders regarding the pricing influences of these factors.

q-fin.PR↗

arXiv2024

Subsidising Inclusive Insurance to Reduce Poverty

In this article, we assess the benefits of coordination and partnerships between governments and private insurers, and provide further evidence for microinsurance products as powerful and cost-effective tools for achieving poverty reduction. To explore these ideas, we model the capital of a household from a ruin-theoretic perspective to measure the impact of microinsurance on poverty dynamics and the governmental cost of social protection. We analyse the model under four frameworks: uninsured, insured (without subsidies), insured with subsidised constant premiums and insured with subsidised flexible premiums. Although insurance alone (without subsidies) may not be sufficient to reduce the likelihood of falling into the area of poverty for specific groups of households, since premium payments constrain their capital growth, our analysis suggests that subsidised schemes can provide maximum social benefits while reducing governmental costs.

stat.AP↗